Portfolio Performance Report - 150d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (150d)	BL (150d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	92.0%	98.0%

Cumulative Return	348.15%	320.26%	539.04%	524.91%	444.66%
CAGR﹪	6.16%	5.89%	7.67%	7.58%	6.99%

Sharpe	0.39	0.4	0.48	0.49	0.44
Prob. Sharpe Ratio	97.48%	97.76%	99.14%	99.28%	98.64%
Smart Sharpe	0.37	0.38	0.45	0.46	0.42
Sortino	0.55	0.57	0.67	0.69	0.62
Smart Sortino	0.51	0.53	0.63	0.64	0.58
Sortino/√2	0.39	0.4	0.48	0.49	0.44
Smart Sortino/√2	0.36	0.38	0.45	0.46	0.41
Omega	1.08	1.08	1.09	1.1	1.09

Max Drawdown	-62.16%	-53.78%	-55.19%	-45.44%	-60.05%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2002-12-30	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2000-09-05	2007-11-01
Max DD Period End	2013-10-17	2013-03-04	2012-08-15	2004-10-07	2013-09-17
Longest DD Days	2178	2450	2404	2253	2148
Volatility (ann.)	20.73%	18.55%	19.53%	18.24%	19.58%
Calmar	0.1	0.11	0.14	0.17	0.12
Skew	-0.29	-0.11	-0.01	-0.34	-0.3
Kurtosis	11.27	12.25	11.16	5.88	12.92

Expected Daily	0.02%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.5%	0.48%	0.62%	0.61%	0.56%
Expected Yearly	5.94%	5.68%	7.39%	7.3%	6.74%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-1.85%	-1.99%
Expected Shortfall (cVaR)	-3.58%	-3.58%	-3.58%	-3.58%	-3.58%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.1	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.94	0.96	0.92	1.0	0.94
Outlier Win Ratio	3.78	4.27	4.09	4.57	4.2
Outlier Loss Ratio	3.79	4.32	3.99	3.92	3.96

MTD	2.37%	2.57%	5.17%	2.82%	1.43%
3M	6.97%	10.94%	12.06%	8.18%	4.67%
6M	9.5%	14.12%	16.79%	10.84%	6.82%
YTD	0.09%	3.83%	6.85%	1.78%	-1.44%
1Y	8.61%	18.42%	29.36%	9.08%	5.86%
3Y (ann.)	1.78%	6.31%	10.76%	-1.16%	-0.1%
5Y (ann.)	6.14%	9.1%	14.72%	8.81%	5.66%
10Y (ann.)	4.57%	9.29%	12.72%	5.3%	4.33%
All-time (ann.)	6.16%	5.89%	7.67%	7.58%	6.99%

Best Day	14.28%	11.37%	14.52%	9.95%	14.04%
Worst Day	-11.79%	-12.93%	-10.94%	-8.63%	-11.82%
Best Month	16.66%	13.95%	12.7%	18.36%	16.64%
Worst Month	-23.8%	-14.06%	-16.52%	-12.73%	-21.38%
Best Year	48.56%	26.5%	32.31%	51.81%	58.43%
Worst Year	-44.7%	-33.84%	-36.8%	-35.17%	-41.51%

Avg. Drawdown	-3.02%	-2.3%	-2.05%	-3.3%	-2.5%
Avg. Drawdown Days	54	46	32	57	48
Recovery Factor	-	-	-	-	-
Ulcer Index	0.18	0.14	0.17	0.18	0.15
Serenity Index	0.35	0.35	0.39	0.34	0.41

Avg. Up Month	4.18%	3.33%	3.68%	4.14%	4.05%
Avg. Down Month	-5.14%	-4.09%	-4.19%	-4.37%	-4.75%
Win Days	53.3%	53.12%	54.29%	53.62%	53.88%
Win Month	58.61%	60.93%	62.58%	60.7%	59.86%
Win Quarter	63.37%	65.35%	70.3%	62.24%	64.65%
Win Year	65.38%	69.23%	76.92%	73.08%	61.54%

EOY Returns

Year	EQW	^DJI	SPY	MV (150d)	BL (150d)
1999	16.93	22.39	19.28	21.29	6.69
2000	-7.54	-4.22	-7.41	10.78	-5.44
2001	-16.16	-5.12	-10.11	-13.84	-8.21
2002	-9.94	-15.11	-20.83	-35.43	-5.32
2003	40.78	23.95	26.20	42.67	46.97
2004	25.60	3.69	10.78	35.54	25.31
2005	12.62	-0.08	5.25	14.86	14.02
2006	29.23	15.58	15.21	31.96	29.52
2007	15.49	7.29	6.28	21.85	19.41
2008	-48.95	-34.13	-37.36	-39.97	-43.93
2009	41.61	20.17	26.93	37.18	44.19
2010	12.86	11.76	15.63	15.32	11.29
2011	-11.18	7.59	4.53	-16.63	-12.66
2012	21.58	7.69	15.64	15.13	18.63
2013	19.55	24.03	28.62	14.29	17.68
2014	-4.95	7.84	13.27	2.48	-0.39
2015	-0.29	-1.07	2.41	-6.94	-2.14
2016	5.44	13.38	12.18	16.95	3.94
2017	24.15	22.61	19.88	23.07	25.75
2018	-12.32	-4.20	-3.23	-24.19	-13.74
2019	20.38	20.94	27.97	20.04	19.02
2020	14.37	13.82	22.47	34.52	17.69
2021	13.35	17.94	26.11	15.48	12.81
2022	-12.96	-7.24	-17.13	-23.45	-14.94
2023	14.26	13.49	24.11	10.33	12.96
2024	0.20	3.81	6.73	1.85	-1.34

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2013-10-17	-62.16	2178
2000-01-04	2004-01-02	-42.42	1460
2020-01-21	2020-11-13	-36.40	298
2021-11-09	2024-02-23	-30.17	837
2014-07-07	2017-05-01	-24.39	1030
2018-01-29	2019-12-31	-21.06	702
2006-05-10	2006-10-13	-15.78	157
2007-07-13	2007-09-28	-13.07	78
1999-01-07	1999-04-26	-11.73	110
2004-02-18	2004-09-20	-11.43	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (150d)

Started	Recovered	Drawdown	Days
2000-09-05	2004-10-07	-45.44	1494
2007-11-07	2014-01-06	-43.94	2253
2018-01-29	2020-07-17	-37.06	901
2022-01-04	2024-02-23	-28.41	781
2014-04-02	2016-07-06	-23.48	827
2006-05-11	2006-09-26	-15.67	139
2000-03-06	2000-08-16	-14.77	164
2007-07-13	2007-09-25	-14.56	75
2016-09-08	2017-05-12	-13.84	247
2005-03-09	2005-07-27	-11.04	141

BL (150d)

Started	Recovered	Drawdown	Days
2007-11-01	2013-09-17	-60.05	2148
2018-01-29	2020-11-12	-38.75	1019
2000-01-04	2003-09-02	-31.35	1338
2021-11-09	2024-02-23	-30.36	837
2014-07-07	2017-04-24	-23.46	1023
2006-05-10	2006-10-11	-15.43	155
2004-02-18	2004-09-20	-13.44	216
2007-07-13	2007-09-26	-13.39	76
2007-02-27	2007-03-30	-8.90	32
2014-01-14	2014-02-21	-7.40	39